后金融危机时代中国股市财富效应实证分析

本文选取社会消费品零售总额、股票市场流通市值和城镇家庭人均可支配收入三大指标,以2009年7月-2012年9月的月度数据为样本,运用协整分析及向量误差修正模型对后金融危机时代的中国股市财富效应进行实证检验。结果表明,在经济增速放缓、股市长期走熊的背景下,中国股市存在极为微弱的财富效应,并且股市短期财富效应大于长期效应,前者大约是后者的1.6倍。

Based on the monthly data of total retail sales of social consumer goods, stock market capitalization and per capita disposable incomes of urban households from 2009 to 2012, this paper makes an empirical study on the stock - market wealth effect of China, using the techniques of co - integration test, vector error correction （VEC） model and the Granger test of causality. The results show that the Chinese stock market has an extremely weak wealth effect in the context of the economic downturn and bad market performance in the post -financial crisis era. Furthermore, the short -term wealth effect of Chinese stock market is larger than the long - term effect, which is about 1.6 times of the latter.